Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively. • Examines the connectedness among African equity and the global equity and commodity markets. • Examines the evolution of connectedness among these markets during the COVID-19. • African equity markets are weakly integrated with the global commodity and equity markets • During the COVID-19 peak period, however, the level of integration among these increased significantly. [ FROM AUTHOR] Copyright of Emerging Markets Review is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

ESG performance, herding behavior and stock market returns: evidence from Europe

This paper tests how financial performance indicators and combined ESG score for large-cap stocks impact on stock return. In particular, we examine how market capitalization, price to book value, Sharpe ratio and ESG score of large-cap firms in Europe are related to their stock performance. We consider a panel data consisting of six European countries—Portugal, Italy, Greece, Spain, France and Germany—for the period 2010–2020. For Greek and French firms, a firm's size tends to negatively affect its stock returns. The investors in European countries (except Italy) do not jeopardize their returns by investing in highly ESG scoring firms. We argue that the benefit of not investing in highly ESG-scoring firms might lead investors to select smaller size companies with a higher price to book value and higher Sharpe ratio, as it is more likely to generate higher returns. Moreover, Italian firms are more susceptible to ESG issues, as ESG performance and stock return seem to have a significant negative correlation. This valuable result was confirmed by conducting a robustness test for Europe as a whole using the Euronext100 index. Finally, we find no evidence that ESG motivates herding in our selected sample (this is not the case for Greece and France), while we report evidence of ESG herding behavior during the Covid-19 outbreak in Portugal, Italy and Greece. © 2023, The Author(s).

Forecasting COVID-19 Pandemic and Capital Market Efficiency in Africa

Despite a large and growing list of studies on COVID-19 across space and time and on heterogeneous social, environmental and welfare issues, the empirical relations on the consequences of COVID-19 pandemic and Africa's market capitalization objectives remain dimly discerned. Even more worrisome is Africa, where the condition for growth and development has not been adequately fulfilled. This structural ambiguity calls for a policy document that is evidence-based to reach conclusions to aid the containment, risk analysis, structures and features of the deadly and fast-spreading disease. This study employed negative binomial and the Poisson regression to establish the contemporaneous influence of COVID-19 pandemic on market capitalization capabilities in Africa. Health data from various reports of the World Health Organization (WHO) is regressed on the all-share index from World Development Indicators (WDI) to establish a clear line of thought. It is found that the growth of confirmed cases and attributable deaths are inversely related to the growth in market capitalization in Africa. The findings from this study show that Africa market capitalization is inversely related to total growth in the number of confirmed cases of COVID-19 and attributable COVID-19 deaths. This leads to the assertion that Africa's capital market is fast nosediving in the time of COVID-19 due to global uncertainties caused by the pandemic. With no known cure or vaccine procedure discovered yet, the global uncertainty around the novel coronavirus disease will lead to approximately 0.56 percentage decrease in market capitalization in Africa. To this end, emphases must be laid on identifying and including non-traditional sources of financing strictly tied to projects that could encourage institutional investors. It is therefore equally imperative for Africa to form a formidable and integrated capital market among themselves. Keywords: market capitalization;COVID-19 pandemic, negative binomial Regression, poisson, Regression, Africa JEL Classification: C10, C31, G15, I12

MARKET CAPITALIZATION FACTORS OF THE BULGARIAN PHARMACEUTICAL SECTOR IN PANDEMIC ENVIRONMENT

The article is focused on the changes of the market capitalization in the Bulgarian pharmaceutical sector during the COVID-19 pandemic. The aim of the article is to measure and justify the impact of a set of factors that affect the market capitalization of public companies from the Bulgarian pharmaceutical sector in a pandemic environment. The main performance indicator under consideration is the market capitalization of the leading pharmaceutical companies included in the BGBX40 stock exchange index during the two-year pandemic period (from June 2020 until May 2022). For the purpose of the research, a multiple linear regression model (OLS) is employed with the help of GRETL open-source software. Four of the selected eight impact factors are related to the sales of medical products;three are related to COVID-19 statistics and the last is a stock market index. The results from the analyses evidence a strong relationship between the impact factors and the market capitalization of Bulgarian pharmaceutical companies during the pandemic. The coefficient of determination shows that 96% of the change in the market capitalization could be explained by the change in the factors included in the model. The growth of the market capitalization of the studied Bulgarian companies over a period of 2 years is comparable to that of the world leading pharmaceutical companies that offer COVID-19 vaccines. © 2022, Dimitar A Tsenov Academy of Economics. All rights reserved.

Shareholder Structure of Major Technology Companies: A Graph Analytics Study during COVID-19 and Beyond

During financial crises or other unexpected events, investors often seek to include lower-risk assets in their portfolios. Some assets are more sensitive than others to such phenomena. In the equities markets, adjustments tend to be made to the shareholdings of companies that are associated with a higher level of uncertainty. In this work, we explore the evolution of shareholder structure of various well-known companies in the technology sector during the COVID-19 pandemic and beyond. We model, as graphs, shareholder ownership data about twenty US-listed companies between 2020 and 2022. We use freely available tools to explore the bipartite interactions and generate a wide range of topologies that facilitate the identification of how shareholding structures have evolved during the pandemic. In addition, we study the role that some nodes play in the network topology and the process of change that is observed. Our findings include that (1) most investors reduced the amount invested in technology stocks during the pandemic and that these investments tended to bounce back in the post-pandemic era;(2) Vanguard Group, Inc., is the most influential investor in the network;(3) Apple has the highest market capitalization of all technology stocks for all quarters in this study, Microsoft Corp has a significantly lower market capitalization, but a significantly higher number of investors;and (4) While investors for Apple and Microsoft tend to be from London and New York, companies such as Oracle have investors from a variety of locations. © 2022 Copyright for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).

Information Flow Between Crude Palm Oil and Crude Oil Futures

This study finds asymmetric information flow from the crude palm oil (CPO) futures to the West Texas Intermediate (WTI) crude oil futures market despite the CPO futures market's low liquidity and small market capitalization. Our finding is robust regardless of the 2019 Coronavirus outbreak and the asymmetric information flow becomes even unilateral considering the exchange rate risk on the Malaysian Ringgit. Finally, we explain the asymmetric information flow from the CPO futures to WTI futures market given that the impact of speculation on market efficiency crowds out that of liquidity. © Published under licence by IOP Publishing Ltd.

Are Pair Trading Strategies Profitable during COVID-19 Period?

Pair trading strategy is a well-known profitable strategy in stock, forex, and commodity markets. As most of the world stock markets declined during COVID-19 period, therefore this study is going to observe whether this strategy is still profitable after COVID-19 pandemic. One of the powerful algorithms of DBSCAN under the umbrella of unsupervised machine learning is applied and three clusters were formed by using market and accounting data. The formation of these three clusters was based on book value per share, earning per share, classification of sector, market capitalisation and with other factors formed from PCA on the returns of daily data of six months of the 80 sample firms for year 2019-2020. An average of -0.32% average excess monthly return with Sharpe ratio of -0.0012 and Treynor ratio of -0.0231 is to be observed in COVID-19 pandemic period. However, the result of risk-adjusted performance under Jensen's alpha is observed to be insignificant. The policy implication of this study, for different portfolios and fund managers is suggested to use machine learning approach to get positive and higher returns for their clients. © 2022 World Scientific Publishing Company.

Market capitalization: Pre and post COVID-19 analysis.

This research paper focuses on the impact of COVID-19 on Indian Stock Market and shares performance. In other words, the article analyses the market capitalization correlation between the performances of shares and the growth of the share market, using the stock market data of Pre and post COVID-19 status by comparing the data from Jan'20 to Jun'20. The variables have positive and statistically strong significance on the changes in the market's performance and the value of its market capitalization.